In this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient … utility functionals. As a result, it turns out that the possibility of a particular generalization depends on specific … properties of the utility functional under consideration. -- monetary utility functionals ; optimal stopping ; duality ; policy …

; constrained utility maximization ; correspondences ; risk measures. …

We propose a stochastic control approach to the dynamic maximization of robust utility functionals that are defined in … terms of logarithmic utility and a dynamically consistent convex risk measure. The underlying market is modeled by a … incomplete. Our main results give conditions on the minimal penalty function of the robust utility functional under which the …

We anlyze the stochastic control approach to the dynamic maximization of the robust utility of consumption and … investment. The robust utility functionals are defined in terms of logarithmic utility and a dynamically consisten convex risk … factor process: Our main results give conditions on the minimal penalty function of the robust utility functional under which …

The utility maximisation problem is considered for investors with anticipative additional information. We distinguish … utility are determined with the help of f-divergences. We assume that our measures are absolutely continuous with respect to a … local martingale measure (LMM), but not necessarily equivalent. Thus we do not exclude arbitrage. -- utility maximisation …

The background for the general mathematical link between utility and information theory investigated in this paper is a … represented by an enlargement of the other agents' filtration. The expected logarithmic utility increment, i.e. the difference of … the insider's and the less informed trader's expected logarithmic utility is described in terms of the information drift …